Hodrick-Prescott Filter

The function smoothes a series using the Hodrick-Prescott Filter method. It is included into the Smoothing group.

The Hodrick-Prescott filter is a smoothing method applied to a time series to determine long-term trends.

To apply the method

After the method is applied, a series with the name of the Hodrick-Prescott Filter(<Series_Name>) type and containing calculation results is added to the data table for each of the selected series. For example:

Setting Up Calculation Options

To set up calculation options, use the Parameters tab on the side panel.

To display the tab

Set method parameters:

• Smoothing Parameters. It controls series smoothness. The greater is the parameter value, the smoother is the series. If the smoothing parameter value tends to infinity, the series is transformed into a linear trend. Use the radio buttons to select a method to determine smoothing parameters:

• • Lambda. Smoothing parameter depends on the lambda value. The default value is 100.00.

  • Power. The smoothing parameter is determined by the power value that must be greater than zero. The default value is 2.00.

See also:

Calculation Methods | Smoothing |The Hodrick-Prescott Filter